first, what size tank are we talking? for some reason, i thought you have a pretty small setup, but i may be confusing you with another person.
are there enuff hiding places in your tank? if you're short on rockwork, there is usually a lot more territoriality-related aggression. also, new fish need to establish a place in the pecking order, which can take a few days (i'd discount the damsels cuz they're just plain nasty).
i've kept a foxface with other BF's with no trouble...in fact, the foxface and the CBB used to line up and wait for the attentions of the neon goby i kept with them.
IME, a foxface doesn't really bother any other fish that doesn't bother it first. BTW, you realize that the foxface is venomous, right? be careful with its dorsal spines. they aren't a toxic as lionfish, but they will make you wish you hadn't been skewered. altho they're omnivores, make sure your foxface gets some vegetable matter in its diet (they're like weed-whackers with fins).
finally, hennies are fairly delicate fish, much more so than the foxface or the damsels. as for whether they're reef safe, they generally are, but may pick at polyps. i'd call them reef safe with caution...
HTH